Dual approach to multidimensional Lp spectral estimation problems

A. Ben-Tal, J. M. Borwein, M. Teboulle

Research output: Contribution to journalArticlepeer-review

Abstract

A complete duality theory is presented for the multidimensional Lp spectral estimation problem. The authors use a new constraint qualification (BWCQ) for infinite-dimensional convex programs with linear type constraints recently introduced by J. Borwein and H. Wolkowicz. This allows direct derivation of the explicit optimal solution of the problem as presented by B.K. Goodrich and A. Steinhardt, and establishment of the existence of a simple and computationally tractable unconstrained Lagrangian dual problem. The results illustrate that (BWCQ) is more appropriate to spectral estimation problems than the traditional Slater condition (which may only be applied after transformation of the problem into an Lp space and which therefore yields only necessary conditions).

Original languageEnglish
Pages (from-to)985-996
Number of pages12
JournalSIAM Journal on Control and Optimization
Volume26
Issue number4
DOIs
StatePublished - 1988
Externally publishedYes

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